Multiscale time series modelling with an application to the relativistic electron intensity at the geosynchronous orbit

Guo, L.Z., Billings, S.A., Coca, D. and Balikhin, M.
(2009)
Multiscale time series modelling with an application to the relativistic electron intensity at the geosynchronous orbit.
Research Report.
ACSE Research Report no. 999
.
Automatic Control and Systems Engineering, University of Sheffield

Abstract

In this paper, a Bayesian system identification approach to multiscale time series modelling is proposed, where multiscale means that the output of the system is observed at one(coarse) resolution while the input of the system is observed at another (One) resolution.
The proposed method identifies linear models at different levels of resolution where the link between the two resolutions is realised via non-overlapping averaging process. This averaged time series at the coarse level of resolution is assumed to be a set of observations
from an implied process so that the implied process and the output of the system result in an errors-in-variables ARMAX model at the coarse level of resolution. By using a Bayesian
inference and Markov Chain Monte Carlo (MCMC) method, such a modelling framework results in different dynamical models at different levels of resolution at the same time. The
new method is also shown to have the ability to combine information across different levels of resolution. An application to the analysis of the relativistic electron intensity at the geosynchronous orbit is used to illustrate the new method.

Item Type:

Monograph
(Research Report)

Copyright, Publisher and Additional Information:

The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.